Porcupine Tree - A smart Kid. I was shocked the first time I heard it. One of the best songsa from PT
Pain of salvation - Second Love. Another heart breaking song that MR. Gildenlow pours out his emotions.
King Crimson - Island. A very sad song that when you finish hearing the album your left with a sense of ...well... sadness.
Epitaph. one of the best saddest song that KC has ever done.
Sigur Ros - Heysatan. A song that tells the story of an old man who's pasing away looking at the sea so you can imagine how sad it is
Riverside - I believe. there are alot of sad/mellow songs from this band but this one stands out in the first album.
There you go. From the top of my head

... oops, I mean